| Close | |
|---|---|
| Annualized Return | 0.0692 |
| Annualized Std Dev | 0.2508 |
| Annualized Sharpe (Rf=0%) | 0.2760 |
| Close | |
|---|---|
| Observations | 3733.0000 |
| NAs | 1.0000 |
| Minimum | -0.1410 |
| Quartile 1 | -0.0062 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0077 |
| Maximum | 0.1559 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0158 |
| Skewness | -0.5218 |
| Kurtosis | 12.2618 |
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0108 |
| Loss Deviation | 0.0132 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.6478 |
| Historical VaR (95%) | -0.0227 |
| Historical ES (95%) | -0.0391 |
| Modified VaR (95%) | -0.0239 |
| Modified ES (95%) | -0.0462 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-05-24 | 2008-11-20 | 2011-02-16 | -0.6478 | 1193 | 630 | 563 |
| 2018-08-30 | 2020-03-18 | 2020-12-04 | -0.5102 | 571 | 389 | 182 |
| 2011-05-02 | 2011-10-03 | 2012-03-15 | -0.2887 | 221 | 108 | 113 |
| 2015-06-24 | 2016-02-11 | 2016-11-21 | -0.2794 | 358 | 161 | 197 |
| 2012-03-27 | 2012-06-04 | 2013-01-02 | -0.1343 | 193 | 48 | 145 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | -1.6 | -0.3 | 0.4 | -0.1 | 0 | 0.1 | 0.2 | 0.2 | -1 |
| 2007 | 0.5 | -0.4 | 0.1 | -0.2 | 0.4 | -0.2 | 0.3 | 1.3 | 1.3 | -1.5 | 0.5 | -2.4 | -0.4 |
| 2008 | 2.3 | -3.2 | 3 | 1 | -0.1 | 0 | 0 | -1.2 | -1 | 4.7 | -8.9 | 3.5 | -0.6 |
| 2009 | -1.3 | -1.3 | 2 | 1.5 | 3.2 | 1.2 | 0.5 | -1.8 | -3.6 | -2.4 | 1.6 | -0.2 | -0.8 |
| 2010 | 2 | 1.7 | 0.8 | -2.3 | -3.1 | -0.1 | 0.2 | 3.6 | 0.2 | -0.7 | 2.2 | -0.4 | 4 |
| 2011 | 1.5 | -2.2 | 0.3 | 0.4 | -2.2 | 1.9 | -0.9 | -1.8 | -2.2 | -4.2 | 0.2 | -0.1 | -9 |
| 2012 | 1.4 | 0.4 | 0.4 | 1 | -3.6 | 3 | -1.2 | 0.3 | 0.1 | 1.5 | 0 | 2 | 5.2 |
| 2013 | 0.8 | 0.1 | -1.4 | -1.4 | -1.2 | 0.3 | 1.1 | -1.2 | 1 | -0.4 | 0 | 0.4 | -1.9 |
| 2014 | -0.7 | 0.1 | 1.1 | 0.3 | -0.3 | 0.8 | -0.4 | 0.6 | -1.8 | 1.7 | -2.4 | -0.8 | -1.9 |
| 2015 | -1.2 | 0.1 | -0.9 | 0.9 | 0.4 | 0.1 | -0.1 | -2.7 | 0 | 0.2 | 0.7 | -0.3 | -2.8 |
| 2016 | 0.8 | 1.7 | 0 | -0.6 | 0.5 | 0.8 | -0.8 | -0.2 | 1.3 | -1.4 | -1.2 | -0.3 | 0.5 |
| 2017 | -0.3 | 1.8 | 0.6 | 0.5 | 1.7 | 0.8 | -0.3 | 0.3 | 0.3 | -0.1 | 0.3 | -0.1 | 5.5 |
| 2018 | -0.3 | 0.2 | 1.6 | -0.3 | 0.7 | -0.1 | -0.1 | 0.4 | -0.5 | 1.2 | 0.2 | 0.9 | 3.9 |
| 2019 | 0.4 | 0.9 | 1.3 | -1.2 | -1.7 | 0.5 | -2.7 | -0.2 | -1.9 | 1.9 | -0.4 | 0.5 | -2.6 |
| 2020 | -2.2 | -0.3 | -6.4 | -4.7 | 1.7 | -1.3 | -0.7 | 0.5 | 1 | -1.2 | 1.5 | 0.1 | -11.7 |
| 2021 | 1.8 | 2.2 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.7 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-05-19 21.8 SPY 127. 0.0071 -0.0166 -0.0307 -0.0133 0.0655 0.375 0.0136 GLD 65.6 -0.0279 -0.0779
2 2006-05-22 22.6 SPY 126. -0.0076 -0.026 -0.0383 -0.0184 0.0588 0.361 0.00120 GLD 65.3 -0.0043 -0.0313
3 2006-05-23 22.6 SPY 125. -0.0076 -0.032 -0.0438 -0.0317 0.045 0.338 -0.0293 GLD 66.4 0.0165 -0.0325
4 2006-05-24 21.7 SPY 126. 0.008 -0.0054 -0.0322 -0.0225 0.0558 0.346 -0.0231 GLD 64.1 -0.035 -0.06
5 2006-05-25 22 SPY 128. 0.0124 0.012 -0.0205 -0.013 0.0697 0.339 -0.0155 GLD 64.7 0.01 -0.0409
6 2006-05-26 22 SPY 128. 0.0051 0.0101 -0.0202 -0.0083 0.0694 0.342 -0.0248 GLD 65.1 0.0062 -0.0073
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>